Introduction to Stochastic Calculus with Applications
1st Edition
Published on 15. January 2021
Book
Hardback
250 pages
978-1-4665-7080-1 (ISBN)
Description
This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB (R), or Mathematica (R).
More details
Language
English
Place of publication
Bosa Roca
United States
Publishing group
Taylor & Francis Inc
Target group
College/higher education
Advanced undergraduate and graduate students taking stochastic calculus courses in mathematics and statistics departments; mathematicians and statisticians working in financial math or financial engineering.
Dimensions
Height: 234 mm
Width: 156 mm
ISBN-13
978-1-4665-7080-1 (9781466570801)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Person
Content
Martingales in Discrete Time. Brownian Motion. Stochastic Integration. More Stochastic Calculus. Change of Measure and Girsanov Theorem. Jump Processes.